Trend-Following Backtester · Guide · backtest 한국어

equity · US

Norfolk Southern Corporation backtest

10 trend-following strategies were compared on the full daily history of Norfolk Southern Corporation. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 99% market exposure makes it hold-like.

Data 1982-06-02 ~ 2026-07-31daily bars 11,130 (44.2 years)Costs 0.5%Venue XNYSMonthly snapshot 2026-07-31

Results by strategy

1 of 10 beat buy and hold (CAGR 10.1%, drawdown -70.3%).

Sharpe leader (same as main): ROC 모멘텀 — CAGR 10.2%, MDD -70.4%, Sharpe 0.49, 99% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.

No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.

The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.

Strategy · parametersCAGRMDDSharpeCalmarTotalTradesExposure
ROC 모멘텀
Hold-like · Exposure 99%
n=9, threshold=-0.12
10.2%-70.4%0.490.1573.5x8599%
Donchian 채널 돌파
entryN=12, exitN=79
5.5%-63.9%0.340.0910.5x12387%
Supertrend
period=17, mult=4
4.8%-41.3%0.330.127.8x18759%
EMA 크로스오버
fast=87, slow=171
4.6%-55.4%0.310.087.4x5370%
SMA 크로스오버
fast=33, slow=60
3.7%-46.7%0.280.085.0x18162%
볼린저 밴드 돌파
n=44, k=3.3
0.9%-35.8%0.140.021.5x5813%
MACD
fast=27, slow=68, signal=23
0.7%-71.1%0.130.011.4x36751%
Parabolic SAR
step=0.005, maxStep=0.4
-0.0%-51.2%0.10-0.001.0x39157%
ADX / DI 방향성
period=47, threshold=23
-0.2%-25.6%-0.01-0.010.9x243%
Keltner 채널 돌파
emaPeriod=55, atrPeriod=19, mult=4
-1.2%-61.6%-0.05-0.020.6x10722%
Buy and hold10.1%-70.3%0.470.1470.1x1100%
1x 10x 1983 1989 1995 2001 2007 2013 2019 2025 ROC 모멘텀Buy and hold
ROC 모멘텀: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -18% -35% -53% -70% 1983 1989 1995 2001 2007 2013 2019 2025 Buy and holdROC 모멘텀
ROC 모멘텀 maximum drawdown -70.4% (1998-03-20 → 2000-10-23), recovered after 2,917 days.

Rules of the top strategy

Rides the trend when recent return (momentum) over a window is above a threshold.

Method and caveats

Past performance does not guarantee future returns. Parameters were carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupAll asset reports

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